Hélyette Geman

Director, Commodity Finance Centre
Birkbeck, University of London

London Graduate School in Mathematical Finance

Phone: +44 (0) 20 7631 6487
Email: h.geman@bbk.ac.uk
Fax: +44 (0) 20 7631 6416
Room: 722
Office Hours: email for appointment
Personal website

 

Helyette Geman

 

Current Research

Land Valuation
Water as the Next Commodity
The Importance of Commodity Spot Markets
Forward Curve Dynamics and Theory of Storage
Crude Oil and Refined Products, Gas, Electricity
Asset Management in Energy and Mining Companies
Agricultural Commodities and Seasonality
Coal, Shipping and Freight
Valuation of Physical Assets in the Commodity Industry
Asset Price Modeling with Pure Jump (Levy) Processes
High-Frequency Data and Trading Volume in Commodity Markets
Hedge Funds Management and Risk Measures
Property Derivatives
Financial Markets and their Incompleteness : The Examples of Weather Derivatives, Emissions and CO2 markets


Forthcoming and Recent Talks

Keynote Speaker at the 8th Bachelier Finance Society World Congress, Brussels, June 2014 Invited Speaker at Global Derivatives USA, Chicago, November 2013                                     Plenary Speaker at the SIRE, University of Glasgow & St Andrews Conference on "Finance and Commodities", University of St Andrews, July 2013
Invited Speaker at UK Mathematical Finance Workshop, King's College London, June 2013 Keynote Speaker at Commodity Investment World Asia 2013, Singapore, March 2013         Invited Speaker at Global Derivatives USA, Chicago, November 2012
Invited Speaker at the CRU and Simon Fraser Institute Mining Business Risks Summit, Toronto, October 2012
Keynote Speaker at the Vale-sponsored Conference on Economics and Econometrics of Commodity Prices, Getulia Vargas Foundation, Rio de Janeiro, August 2012
Invited Speaker at the Informa Conference on Price Risk Management in Agricultural Markets, London, July 2012
Invited Speaker at the Invivo Conference Agriculture and Finance, Paris, June 2012
Invited Speaker at the World Gold Council Summit for Wealth Management, Moderator Gillian Tett, London, June 2012
Invited Speaker at the Euromoney Food and Finance Conference, London, May 2012
Keynote Speaker at the World Copper Conference, Santiago, Chile, April 2012
Invited Speaker at the Global Derivatives Conference, Barcelona, April 2012
Invited Speaker at the Conference Global Derivatives USA, Chicago, November 2011.
Invited Speaker at the World Commodities Week, London, October 2011.
Distinguished Speaker at the Swiss Financial Market Supervisory Authority Meeting, Interlaken, September 2011.
Invited Speaker at the Conference New Commodity Markets, Oxford-Man Institute of Quantitative Finance, Oxford, June 2011.
Invited Speaker at the Family Office Investment Summit, London, May 2011.
Invited Speaker at the Global Forum on Commodities, United Nations, Geneva, January 2011.
Keynote Speaker at the Conference on Commodities, Academy of Sciences of Heidelberg, July 2010
Keynote Speaker at Energy Risk, Houston, May 2010
Invited Speaker at ICBI Global derivatives, Paris, May 2010
Invited Speaker at the Conference Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, April 2010
Guest Speaker at the Industrial - Academic Forum on Commodities, Fields Institute, April 2010
Invited Speaker at the Bundesbank Workshop on Regulation, Frankfurt, March 2010
Wilmar-International Public Lecture on Commodities, Singapore Management University, January 2010
Keynote Speaker on Agricultural Commodities, Palais de la Bourse, October 2009
Keynote Speaker at Energy Forum, Rome, May 2009
Invited Speaker at a Conference on Financial Engineering, Georgia Tech, Atlanta, April 2009
Invited Speaker on Mathematical Finance, Fields Institute, Toronto, March 2009


PhD Students

Current students
  • Oliwia Koslowska : Missing Data in Commodities  and Change of Filtrations - The Case of Crude Oil
  • Patrick O’Driscoll: Crude Oil, Refined Products and Refinery Optimization using Stochastic Methods
  • Seth Sarfo : Stochastic Modelling of the Forward Curve - The Case of Cocoa
  • Matthias Scheiber : Impact of Heterogeneous Beliefs on the Copper Market
  • Will Smith : The Working Curve for Metals and Agricultural Commodities
  • Lovjit Thukral : High Frequency Trading in Commodities
  • Pedro Vergel : Agricultural Commodities and Fertilizers. Introducing Subsidies in the Equilibrium
Past students
  • Benoit Guilleminot - 2010 : Seasonal and Stochastic Features of Agricultural Commodities
  • Yih-Fong Shih - 2010 : Calibrating Skews and Volatility Surfaces in Metals and Gold markets
  • John Theal - 2009 : Convenience Yield, Lease Rate and Inventories in Gold Markets
  • Stelios Kourouvakalis - 2008 : Optimization of Physical Assets in the Energy Industry
  • Marc Atlan - 2007 : Sato and Bessel Processes For Equity, Interest Rates and Credit
  • Steve Ohana - 2006 : Energy Commodities : Supply Chain Management and Hedging Issues
  • Delia Coculescu - 2005 : Pricing Credit Derivatives under Asymmetric Information
  • Alois Kanyinda - 2005 : Water and Water Risk Management
  • Aymeric Kalife - 2004 : Impact of a large trader on the market microstructure and option pricing
  • Marie-Pascale Leonardi - 2004 : Weather Derivatives : Pricing in Incomplete Markets
  • Vu-Naht Nguyen - 2004 : Commodity Forward Curves Modelling : the Case of Soybeans
  • Cecile Kharoubi - 2003 : Hedge Funds and Extreme Market Moves : the Benefits of Copulas
  • Andrea Roncoroni - 2002 : Electricity Prices Revisited : a Jump-Reverting model
  • Thierry Ane - 2001 : Stochastic Subordination and Empirical Finance
  • Jean-Noel Dordain - 1999 : Valuation of Swing Options in Electricity and Natural Gas Markets
  • Nassim Taleb - 1998 : The Microstructure of Dynamic Hedging
  • Remy Souveton - 1996 : Illiquidity and The Probability of Default of an Exchange
  • Marie-Odile Albizzati - 1995 : The Surrender Option in Life-Insurance Products
  • Jacques Friggit - 1994 : Business Time and Stochastic Volatility in Equity Markets

Recent books

Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy, November 2008, Wiley Finance. pdf format
Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, January 2005, Wiley Finance pdf format
Co-editor of ''Selected Publications from the Bachelier World Congress, Paris 2000'', Springer Verlag, 2001
"Weather and Insurance Derivatives" Publisher: RISK Books, 1999


Published Papers

  • "Investing in Fertilizer Mining Companies in Times of Food Scarcity" (with P. Vergel), forthcoming 2014, Resources Policy
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market" (with G. Baroneadesi and J. Theal), forthcoming 2014, International Journal of Financial Engineering and Risk Management
  • "Mispricing and Trading Profits in ETNs", forthcoming 2014 (with L. Thukral et al.), Journal of Investing
  • "A Daily Trading Strategy in the ETN Space", Summer 2013 (with L.Thukral et al), Journal of Trading
  • "Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space.", 2012 (with L. Thukral), Journal of Index Investing
  • "Theory of Storage, Inventory and Volatility in the LME Base Metals", 2012 (with W.O. Smith), Resources Policy
  • "Commercial Real Estate Inventory and Theory of Storage", 2012 (with R.Tunaru), Journal of Futures Markets
  • Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence", 2012 (with S. Sarfo), Journal of Agricultural Extension and Rural Development
  • "Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index", 2012 (with W.O. Smith), Journal of Alternative Investments
  • "Price Volatility in Storable Commodity Markets: Speculation or Scarcity?", 2011, Swiss Derivatives Review
  • "Distortion Risk Measures for Hedge Funds", 2011 (with C. Kharoubi), Journal of Risk Management for Financial Institutions
  • "Commodities and Numéraire", 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
  • "Realized Variance Options and Convex Orders", 2010, Quantitative Finance
  • "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market", 2009, Swiss Finance Institute Research Paper
  • "On Pricing Risky Loans and Collateralized Fund Obligations", 2009, Journal of Credit Risk
  • "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets", 2009, Energy Economics
  • "Modelling Electricity Prices with Forward Looking Capacity Constraints", 2009, Applied Mathematical Finance
  • "Modeling Commodity Prices under the CEV model", Winter 2009, Journal of Alternative Investments
  • "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect", 2008, Journal of Banking and Finance
  • "Valuation of default-sensitive claims under imperfect information", 2008, Finance and Stochastics
  • "Correlations and the Pricing of Risks", 2008, Annals of Finance
  • "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model", 2008, Applied Mathematical Finance
  • "Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach", 2008, Journal of Banking and Finance
  • "Seasonal and Stochastic Features in Commodity Forward Curves", 2007, Review of Derivatives Research
  • "Water as the Next Commodity", 2007; Journal of Alternative Investments
  • "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston
  • "Self Decomposition and Option Pricing, 2007, Mathematical Finance
  • "Understanding the Fine Structure of Electricity Prices", 2006, Journal of Business
  • "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments
  • "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance
  • "Pricing Options on Realized Variance", 2005, Finance and Stochastics
  • "Soybean inventory and forward curves dynamics", 2005, Management Science
  • "Alternative Approaches to Weather Derivative Valuation", 2005, Managerial Finance
  • "From Local Volatility to Local Lévy Models", 2004, Quantitative Finance
  • "Hedge Funds: A Copula Approach for Risk Management", 2004, in Risk Measures for the 21st Century, Wiley
  • "Stochastic Volatility for Lévy Processes", 2003, Mathematical Finance
  • "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification", 2003, Journal of Risk
  • "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance
  • "The Fine Structure of Asset Returns : An Empirical Investigation", 2002, Journal of Business
  • "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics
  • "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity", 2001, RISK, (with O. Vasicek)
  • "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés
  • "Pricing and Hedging in Incomplete Markets", 2001, Journal of Financial Economics
  • "Time Changes for Lévy Processes", 2001, Mathematical Finance
  • "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments
  • "Asset Prices are Brownian Motion : only in Business Time", 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company
  • "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers
  • "Order Flow, Transaction Clock and Normality of Asset Returns", 2000, The Journal of Finance
  • "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books
  • "Pricing Power Derivatives", 1998, RISK
  • "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research
  • "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics
  • "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastic Reports
  • "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics
  • "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance
  • "Stochastic Subordination", 1996, RISK
  • "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management
  • "Changes of Numéraire, Changes of Probability Measures and Option Pricing" 1995, Journal of Applied Probablity
  • "Domino Effect: Inverting the Laplace Transform", 1995, RISK
  • "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", 1995, Journal of Fixed Income
  • "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance
  • "Catastrophe Calls", 1994, RISK
  • "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets
  • "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research
  • "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance
  • "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper
  • "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences
  • "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK
  • "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance
  • "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings
  • "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Paris Panthéon Sorbonne PhD Dissert)
  • "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report
Department of Economics, Mathematics and Statistics, Birkbeck, University of London, Malet St, London WC1E 7HX.